The increasingly wide usage of smart infrastructure and location-aware terminals has helped increase the availability of trajectory data with rich spatiotemporal information. The development of data mining and analysis methods has allowed researchers to use these trajectory datasets to identify urban reality (e.g., citizens’ collective behavior) in order to solve urban problems in transportation, environment, public security, etc. However, existing studies in this field have been relatively isolated, and an integrated and comprehensive review is lacking the problems that have been tackled, methods that have been tested, and services that have been generated from existing research. In this paper, we first discuss the relationships among the prevailing trajectory mining methods and then, classify the applications of trajectory data into three major groups: social dynamics, traffic dynamics, and operational dynamics. Finally, we briefly discuss the services that can be developed from studies in this field. Practical implications are also delivered for participants in trajectory data mining. With a focus on relevance and association, our review is aimed at inspiring researchers to identify gaps among tested methods and guiding data analysts and planners to select the most suitable methods for specific problems.